3 citations · 6 across the 8 of their papers we have counts for
4 papers · 1 filter
Markov switching quadratic term structure models
Stéphane Goutte
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The pos…
Variance optimal hedging for continuous time additive processes and applications
Stéphane Goutte, Nadia Oudjane, Francesco Russo
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows t…
Optimization problem and mean variance hedging on defaultable claims
Stephane Goutte, Armand Ngoupeyou
We study the pricing and the hedging of claim ψ which depends on the default times of two firms A and B. In fact, we assume that, in the market, we can not buy or sell any defaulta…
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Stéphane Goutte, Nadia Oudjane, Francesco Russo
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exp…